Quantitative Finance @ Bocconi first edition

Quantitative Finance brings together theoretical models and numerical methods at the intersection of probability theory, mathematical finance, and applied sciences. These disciplines also lie at the heart of the recent wave of technological innovation, including decentralized finance on public blockchains and artificial intelligence.

Bocconi University has a long-term tradition in teaching quantitative finance with the MAFINRISK long-term program while releated research activities that take place in the Departments of Decision Sciences and Finance. These activities are now enriched by the opening of the new PhD program in mathematics and applications, and the interaction with the Department of Computing Sciences as witnessed by the jointly organized activities, like the Interdisciplinary workshop on machine learning and financial decision making and the conference on AI and Finance.

In the first edition of the conference 'Quantitative Finance @ Bocconi' that will be held November 13th, Room AS 01 we reunite a leading group of world leading experts to explore new theoretical and applied solutions, and celebrate the career of an early member of the MAFINRISK faculty and the recipient of the 2020 Risk quant-of-the-year award, Fabio Mercurio, whose research has shaped how quants and the financial industry think about rates and volatility.

Program

9.25 - 9.30 Welcome remarks by Claudio Tebaldi - Scientific Director of the Fintech Lab

Session 1. Mathematical Finance and Probability Theory

Session Chair: Fulvio Ortu (Bocconi)

9.30 - 10.00 Wolfgang Runggaldier (Università di Padova) A perspective of an extended period of scientific involvement in

financial mathematics

10.00 -10.30 Emanuela Rosazza Gianin (Università degli Studi Milano Bicocca) Title TBA

10.30 - 11.00 Marco Frittelli (Università Statale di Milano) Title TBA

Session 2. From the theory to the practice of financial markets

Session Chair: Claudio Tebaldi (Bocconi)

11.30 - 12.00 Hélyette Geman (John Hopkins University) The Promise of Prediction Markets : From Bookmakers to Nobel Prize Winners

12.00 - 12.30 Bruno Dupire (Bloomberg L.P.) The Perils of Parameterization

12.30 - 13.00 Jim Gatheral (Baruch College CUNY) Magic Strikes

Session 3. Quantitative Methods @ Work

Session Chair: Paola Mosconi (Intesa)

14.30 - 14.50 Michele Bonollo (Iason) Modeling Risk, Measuring (representing) Risk. Two current Research Streams

14.50 - 15.10 Massimo Morini (ADIA Lab) Understanding AI Time-Series Foundation Models in Financial Market Applications

15.10 - 15.30 Andrea Pallavicini (IntesaSanPaolo) Optimal strategy and deep hedging for share repurchase programs

15.30 - 16.00 Stefano Herzel (Università di Roma Tor Vergata) Where do policy rate surpises hit the yield curve?

Session 4. Risk, Rates, and Machine Learning

Session Chair: Anna Battauz (Bocconi)

16.30 - 17.00 Rama Cont (University of Oxford) Title TBA

17.00 - 17.30 Claudio Fontana (Università di Padova) Data-driven Heath-Jarrow-Morton models

17.30 - 18.00 Huyen Pham (École polytechnique, Paris) Stochastic control for generative dynamics: from Schrödinger bridges to path-dependent McKean-Vlasov models

Aperitivo and Celebration

18.00 Presentation by E. Bruè, Head of the PhD program in Applied Math and speech by F. Mercurio

20.00 Dinner (by invitation only)